In financial market, one of complex systems, there is highly nonlinear interaction between heterogeneous traders. Due to this nonlinear interaction, emergent behavior, which is so called ‘stylized facts' occurs in financial market. To understand impact of interaction between heterogeneous...

The ultimate value of theories of the fundamental mechanisms comprising the asset price in financial systems will be reflected in the capacity of such theories to understand these systems. Although the models that explain the various states of financial markets offer substantial evidences from...

Future crisis will be different from previous crises due to the fast speed of technological innovation. In particular, after the subprime crisis and the Piketty Panic, we need a new macroeconomic framework based on three ingredients, namely, fast and dramatic technological innovation, financial...

We investigate the grouping property of industry sectors in the complex network based on stock data for US and Korean stock markets. The complex networks are constructed by the minimal spanning tree (MST). We propose a novel approach based on the shortest path length (SPL) between stocks to...

We investigated the topological properties of stock networks constructed by a minimal spanning tree. We compared the original stock network with the estimated network; the original network is obtained by the actual stock returns, while the estimated network is the correlation matrix created by...

We investigate statistical properties of daily international market indices of seven countries, and high-frequency $S&P500$ and KOSDAQ data, by using the detrended fluctuation method and the surrogate test. We have found that the returns of international stock market indices of seven countries...

The stock market has been known to form homogeneous stock groups with a higher correlation among different stocks according to common economic factors that influence individual stocks. We investigate the role of common economic factors in the market in the formation of stock networks, using the...

We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during two periods from 1984 to 1998 and from 1999 to 2004 in...

We investigated financial market data to determine which factors affect information flow between stocks. Two factors, the time dependency and the degree of efficiency, were considered in the analysis of Korean, the Japanese, the Taiwanese, the Canadian, and US market data. We found that the...

We investigate a factor that can affect the number of links of a specific stock in a network between stocks created by the minimal spanning tree (MST) method, by using individual stock data listed on the S&P500 and KOSPI. Among the common factors mentioned in the arbitrage pricing model (APM),...